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Add support for inverse futures
1 parent b57b6bc commit 27b3f59

8 files changed

Lines changed: 288 additions & 21 deletions

‎QuantConnect.BybitBrokerage.Tests/BybitInverseFuturesBrokerageHistoryProviderTests.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using NUnit.Framework;
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namespace QuantConnect.BybitBrokerage.Tests
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{
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[TestFixture, Explicit("Requires valid credentials to be setup and run outside USA")]
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public class BybitInverseFuturesBrokerageHistoryProviderTests : BybitBrokerageHistoryProviderTests
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{
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private static readonly Symbol ETHUSD = Symbol.Create("ETHUSDT", SecurityType.CryptoFuture, Market.Bybit);
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private static TestCaseData[] ValidHistory
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{
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get
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{
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return new[]
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{
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// valid
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new TestCaseData(ETHUSD, Resolution.Tick, Time.OneMinute, TickType.Trade),
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new TestCaseData(ETHUSD, Resolution.Minute, Time.OneHour, TickType.Trade),
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new TestCaseData(ETHUSD, Resolution.Hour, Time.OneDay, TickType.Trade),
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new TestCaseData(ETHUSD, Resolution.Daily, TimeSpan.FromDays(15), TickType.Trade),
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new TestCaseData(ETHUSD, Resolution.Hour, Time.OneDay, TickType.OpenInterest)
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};
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}
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}
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[Test, TestCaseSource(nameof(ValidHistory))]
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public override void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, TickType tickType)
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{
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base.GetsHistory(symbol, resolution, period, tickType);
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}
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[Ignore("The brokerage is shared between different product categories, therefore this test is only required in the base class")]
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public override void GetEmptyHistory(Symbol symbol, Resolution resolution, TimeSpan period, TickType tickType)
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{
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base.GetEmptyHistory(symbol, resolution, period, tickType);
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}
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}
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}

‎QuantConnect.BybitBrokerage.Tests/BybitInverseFuturesBrokerageTests.Stream.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using NUnit.Framework;
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namespace QuantConnect.BybitBrokerage.Tests
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{
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[TestFixture]
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public partial class BybitInverseFuturesBrokerageTests
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{
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private static TestCaseData[] TestParameters
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{
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get
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{
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return new[]
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{
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// valid parameters, for example
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new TestCaseData(BTCUSD, Resolution.Tick, false),
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new TestCaseData(BTCUSD, Resolution.Minute, true),
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new TestCaseData(BTCUSD, Resolution.Second, true),
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};
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}
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public override void StreamsData(Symbol symbol, Resolution resolution, bool throwsException)
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{
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base.StreamsData(symbol, resolution, throwsException);
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}
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}
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}

‎QuantConnect.BybitBrokerage.Tests/BybitInverseFuturesBrokerageTests.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
10+
* distributed under the License is distributed on an "AS IS" BASIS,
11+
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12+
* See the License for the specific language governing permissions and
13+
* limitations under the License.
14+
*/
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16+
using NUnit.Framework;
17+
using QuantConnect.BybitBrokerage.Models.Enums;
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using QuantConnect.Tests.Brokerages;
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namespace QuantConnect.BybitBrokerage.Tests;
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[TestFixture, Explicit("Requires valid credentials to be setup and run outside USA")]
23+
public partial class BybitInverseFuturesBrokerageTests : BybitBrokerageTests
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{
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private static Symbol BTCUSD = Symbol.Create("BTCUSD", SecurityType.CryptoFuture, "bybit");
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protected override Symbol Symbol { get; } = BTCUSD;
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protected override SecurityType SecurityType => SecurityType.Future;
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protected override BybitProductCategory Category => BybitProductCategory.Inverse;
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protected override decimal TakerFee => 0.00025m;
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protected override decimal GetDefaultQuantity() => 10m;
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/// <summary>
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/// Provides the data required to test each order type in various cases
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/// </summary>
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private static TestCaseData[] OrderParameters()
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{
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return new[]
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{
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new TestCaseData(new MarketOrderTestParameters(BTCUSD)).SetName("MarketOrder"),
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new TestCaseData(new LimitOrderTestParameters(BTCUSD, 50000m, 10000m)).SetName("LimitOrder"),
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new TestCaseData(new StopMarketOrderTestParameters(BTCUSD, 50000m, 10000m)).SetName("StopMarketOrder"),
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new TestCaseData(new StopLimitOrderTestParameters(BTCUSD, 50000m, 10000m)).SetName("StopLimitOrder"),
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new TestCaseData(new LimitIfTouchedOrderTestParameters(BTCUSD, 50000m, 20000)).SetName(
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"LimitIfTouchedOrder")
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};
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}
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[Test, TestCaseSource(nameof(OrderParameters))]
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public override void CancelOrders(OrderTestParameters parameters)
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{
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base.CancelOrders(parameters);
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}
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[Test, TestCaseSource(nameof(OrderParameters))]
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public override void LongFromZero(OrderTestParameters parameters)
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{
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base.LongFromZero(parameters);
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}
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[Test, TestCaseSource(nameof(OrderParameters))]
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public override void CloseFromLong(OrderTestParameters parameters)
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{
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base.CloseFromLong(parameters);
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}
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[Test, TestCaseSource(nameof(OrderParameters))]
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public override void ShortFromZero(OrderTestParameters parameters)
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{
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base.ShortFromZero(parameters);
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}
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[Test, TestCaseSource(nameof(OrderParameters))]
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public override void CloseFromShort(OrderTestParameters parameters)
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{
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base.CloseFromShort(parameters);
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}
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[Test, TestCaseSource(nameof(OrderParameters))]
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public override void ShortFromLong(OrderTestParameters parameters)
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{
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base.ShortFromLong(parameters);
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}
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[Test, TestCaseSource(nameof(OrderParameters))]
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public override void LongFromShort(OrderTestParameters parameters)
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{
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base.LongFromShort(parameters);
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}
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[Ignore("The brokerage is shared between different product categories, therefore this test is only required in the base class")]
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public override void GetAccountHoldings()
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{
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base.GetAccountHoldings();
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}
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}

‎QuantConnect.BybitBrokerage/Api/BybitPositionApiEndpoint.cs‎

Lines changed: 26 additions & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -49,10 +49,33 @@ public IEnumerable<BybitPositionInfo> GetPositions(BybitProductCategory category
4949
{
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if (category == BybitProductCategory.Spot) return Array.Empty<BybitPositionInfo>();
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52-
var parameters = new KeyValuePair<string, string>[]
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var parameters = new List<KeyValuePair<string, string>>();
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if (category == BybitProductCategory.Linear)
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{
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new("settleCoin", "USDT")
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};
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parameters.Add(KeyValuePair.Create("settleCoin", "USDT"));
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}
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5659
return FetchAll<BybitPositionInfo>("/position/list", category, 200, parameters, true);
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}
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/// <summary>
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/// It supports to switch the position mode for USDT perpetual and Inverse futures.
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/// If you are in one-way Mode, you can only open one position on Buy or Sell side. If you are in hedge mode, you can open both Buy and Sell side positions simultaneously.
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/// </summary>
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/// <param name="category">The product category</param>
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/// <param name="symbol">The symbol for which the mode should be changed</param>
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/// <param name="mode">The mode which should be set</param>
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public void SwitchPositionMode(BybitProductCategory category, Symbol symbol, PositionMode mode)
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{
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var ticker = SymbolMapper.GetBrokerageSymbol(symbol);
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var requestBody = new
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{
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category,
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mode = (int)mode,
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symbol = ticker
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};
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ExecutePostRequest<ByBitResponse>("/position/switch-mode", requestBody);
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}
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}

‎QuantConnect.BybitBrokerage/BybitBrokerage.Messaging.cs‎

Lines changed: 2 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -147,7 +147,7 @@ private void HandleOrderExecution(JToken message)
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var currency = tradeUpdate.Category switch
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{
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BybitProductCategory.Linear => "USDT",
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BybitProductCategory.Inverse => GetBaseCurrency(symbol),
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BybitProductCategory.Inverse => GetBaseCurrency(leanSymbol),
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BybitProductCategory.Spot => GetSpotFeeCurrency(leanSymbol, tradeUpdate),
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_ => throw new NotSupportedException($"category {tradeUpdate.Category} not implemented")
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};
@@ -178,7 +178,7 @@ static string GetSpotFeeCurrency(Symbol symbol, BybitTradeUpdate tradeUpdate)
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return tradeUpdate.Side == OrderSide.Buy ? quote : @base;
179179
}
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181-
static string GetBaseCurrency(string pair)
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static string GetBaseCurrency(Symbol pair)
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{
183183
CurrencyPairUtil.DecomposeCurrencyPair(pair, out var baseCurrency, out _);
184184
return baseCurrency;

‎QuantConnect.BybitBrokerage/BybitBrokerage.cs‎

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Original file line numberDiff line numberDiff line change
@@ -48,7 +48,7 @@ namespace QuantConnect.BybitBrokerage;
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[BrokerageFactory(typeof(BybitBrokerageFactory))]
4949
public partial class BybitBrokerage : BaseWebsocketsBrokerage, IDataQueueHandler
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{
51-
private static readonly List<BybitProductCategory> SupportedBybitProductCategories = new() { BybitProductCategory.Spot, BybitProductCategory.Linear };
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private static readonly List<BybitProductCategory> SupportedBybitProductCategories = new() { BybitProductCategory.Spot, BybitProductCategory.Linear, BybitProductCategory.Inverse };
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private static readonly List<SecurityType> SuppotedSecurityTypes = new() { SecurityType.Crypto, SecurityType.CryptoFuture };
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308308
if (baseCanSubscribe && symbol.SecurityType == SecurityType.CryptoFuture)
309309
{
310-
//Can only subscribe to non-inverse pairs
311-
return CurrencyPairUtil.TryDecomposeCurrencyPair(symbol, out _, out var quoteCurrency) && quoteCurrency == "USDT";
310+
//Can only subscribe to non-future pairs
311+
return CurrencyPairUtil.TryDecomposeCurrencyPair(symbol, out _, out var quoteCurrency) && quoteCurrency is "USDT" or "USD";
312312
}
313313

314314
return baseCanSubscribe;
@@ -483,13 +483,18 @@ private static BybitProductCategory GetBybitProductCategory(Symbol symbol)
483483
return BybitProductCategory.Spot;
484484

485485
case SecurityType.CryptoFuture:
486-
if (!CurrencyPairUtil.TryDecomposeCurrencyPair(symbol, out _, out var quoteCurrency) ||
487-
quoteCurrency != "USDT")
486+
if (CurrencyPairUtil.TryDecomposeCurrencyPair(symbol, out _, out var quoteCurrency))
488487
{
489-
throw new ArgumentException($"Invalid symbol: {symbol}. Only linear futures are supported.");
488+
if (quoteCurrency == "USDT")
489+
{
490+
return BybitProductCategory.Linear;
491+
}
492+
if (quoteCurrency == "USD")
493+
{
494+
return BybitProductCategory.Inverse;
495+
}
490496
}
491-
492-
return BybitProductCategory.Linear;
497+
throw new ArgumentException($"Invalid symbol: {symbol}. Only linear futures are supported.");
493498

494499
default:
495500
throw new ArgumentOutOfRangeException(nameof(symbol), symbol, "Not supported security type");

‎QuantConnect.BybitBrokerage/Models/ByBitResponse.cs‎

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@@ -22,8 +22,7 @@ namespace QuantConnect.BybitBrokerage.Models
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/// <summary>
2323
/// Bybits default http response message
2424
/// </summary>
25-
/// <typeparam name="T"></typeparam>
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public class ByBitResponse<T>
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public class ByBitResponse
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{
2827
/// <summary>
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/// Success/Error code
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4342
/// </summary>
4443
[JsonProperty("retExtInfo")]
4544
public object ExtendedInfo { get; set; }
46-
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/// <summary>
48-
/// Business data result
49-
/// </summary>
50-
public T Result { get; set; }
51-
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5246
/// <summary>
5347
/// Current time
5448
/// </summary>
5549
[JsonConverter(typeof(BybitTimeConverter))]
5650
public DateTime Time { get; set; }
5751
}
52+
53+
/// <summary>
54+
/// Bybits default http data response message
55+
/// </summary>
56+
/// <typeparam name="T"></typeparam>
57+
public class ByBitResponse<T> : ByBitResponse
58+
{
59+
/// <summary>
60+
/// Business data result
61+
/// </summary>
62+
public T Result { get; set; }
63+
64+
}
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5866
}

‎QuantConnect.BybitBrokerage/Models/Enums/PositionMode.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
3+
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
4+
*
5+
* Licensed under the Apache License, Version 2.0 (the "License");
6+
* you may not use this file except in compliance with the License.
7+
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
8+
*
9+
* Unless required by applicable law or agreed to in writing, software
10+
* distributed under the License is distributed on an "AS IS" BASIS,
11+
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12+
* See the License for the specific language governing permissions and
13+
* limitations under the License.
14+
*/
15+
16+
using System.Runtime.Serialization;
17+
18+
namespace QuantConnect.BybitBrokerage.Models.Enums;
19+
20+
/// <summary>
21+
/// Bybit position mode
22+
/// </summary>
23+
public enum PositionMode
24+
{
25+
/// <summary>
26+
/// One way mode
27+
/// </summary>
28+
MergedSingle = 0,
29+
/// <summary>
30+
/// Hedge mode
31+
/// </summary>
32+
BothSides = 3,
33+
}

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